How to connect to office 365 with PowerShell

For most Administrators is better to use Powershell for manage Exchange Server. On classic On-premise installation of Exchange Server, Administrator can use Exchange Management Shell or PowerShell with Exchange module for manage the server. But when you have Office 365, then you do not have Exchange Management Shell (this is part of Exchange Server installation). You can use PowerShell on your machine and connect to Office 365.

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